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This article is cited in 3 scientific papers (total in 4 papers)
On the small balls problem for equivalent Gaussian measures
V. I. Bogachev M. V. Lomonosov Moscow State University
Abstract:
Let $\mu$ be a centred Gaussian measure in a linear space $X$ with Cameron-Martin space $H$, let $q$ be a $\mu$-measurable seminorm, and let $Q$ be a $\mu$-measurable second-order polynomial. We show that it is sufficient for the existence of the limit $\lim _{\varepsilon \to 0}\mathsf E(\exp Q|q\leqslant \varepsilon)$, where $E$ is the expectation with respect to $\mu$, that the second derivative $D_{\!H}^{\,2}Q$ of the function $Q$ be a nuclear operator on $H$. This condition is also necessary for the existence of the above-mentioned limit for all seminorms $q$. The problem under discussion can be reformulated as follows: study
$\lim _{\varepsilon \to 0}\nu (q\leqslant \varepsilon )/\mu (q\leqslant \varepsilon )$ for Gaussian measures $\nu$ equivalent to $\mu$.
Received: 05.02.1998
Citation:
V. I. Bogachev, “On the small balls problem for equivalent Gaussian measures”, Sb. Math., 189:5 (1998), 683–705
Linking options:
https://www.mathnet.ru/eng/sm319https://doi.org/10.1070/sm1998v189n05ABEH000319 https://www.mathnet.ru/eng/sm/v189/i5/p47
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Abstract page: | 649 | Russian version PDF: | 238 | English version PDF: | 37 | References: | 65 | First page: | 1 |
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